For a Lie group $G$, we show that the map
$C^\infty_c(G)\times C^\infty_c(G)\to C^\infty_c(G)$,
$(\gamma,\eta)\mapsto \gamma*\eta$
taking a pair of
test functions to their convolution is continuous if and only if $G$ is $\sigma$-compact.
More generally, consider $r,s,t
\in \mathbb{N}_0\cup\{\infty\}$ with $t\leq r+s$, locally convex spaces $E_1$, $E_2$
and a continuous bilinear map $b\colon E_1\times E_2\to F$
to a complete locally convex space $F$.
Let $\beta\colon C^r_c(G,E_1)\times C^s_c(G,E_2)\to C^t_c(G,F)$,
$(\gamma,\eta)\mapsto \gamma *_b\eta$ be the associated convolution map.
The main result is a characterization of those $(G,r,s,t,b)$
for which $\beta$ is continuous.
Convolution
of compactly supported continuous functions on a locally compact group
is also discussed, as well as convolution of compactly supported $L^1$-functions
and convolution of compactly supported Radon measures.